Estimating Kramers-Moyal coefficients in short and non-stationary data sets

DOI10.1016/J.PHYSLETA.2005.10.066zbMATH Open1234.82014OpenAlexW2155113686MaRDI QIDQ973467FDOQ973467

Authors: A. Daffertshofer, P. J. Beek, Anke M. van Mourik 

Publication date: 2 June 2010

Published in: Physics Letters. A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physleta.2005.10.066

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zbMATH Keywords

stochastic processesnon-stationary processesKramers-Moyal expansion

Mathematics Subject Classification ID

Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

Cites Work

• The Fokker-Planck equation. Methods of solution and applications.
• Brownian motors: noisy transport far from equilibrium
• Reconstruction of dynamical equations for traffic flow
• Analysis of data sets of stochastic systems
• Experimental indications for Markov properties of small-scale turbulence
• Statistical properties of a turbulent cascade
• Identifying noise sources of time-delayed feedback systems
• Diffusion of Periodically Forced Brownian Particles Moving in Space-Periodic Potentials

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• A data-analysis method for identifying differential effects of time-delayed feedback forces and periodic driving forces in stochastic systems
• Data-driven inference for stationary jump-diffusion processes with application to membrane voltage fluctuations in pyramidal neurons
• The Kramers-Moyal expansion of the master equation that describes human migration in a bounded domain
• Stochastic physics-informed neural ordinary differential equations
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